Pages that link to "Item:Q736693"

The following pages link to Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693):

Displaying 31 items.

• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
• An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← links)
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
• Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
• Estimation of Correlation Between Latent Processes (Q4976496) (← links)
• State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
• A multivariate volatility vine copula model (Q5034252) (← links)
• Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
• High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
• A generalized heterogeneous autoregressive model using market information (Q5092664) (← links)
• Conditional quantile analysis for realized GARCH models (Q5095829) (← links)
• A closed-form formula characterization of the Epps effect (Q5121493) (← links)
• Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
• Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
• FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
• Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
• The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)
• Asymptotically efficient estimation for diffusion processes with nonsynchronous observations (Q6176239) (← links)